I applied online. The process took 1 week. I interviewed at Jane Street (London, England) in Jan 2016
Interview
Online Test with 5 questions in 30 minutes, Questions were easy but time was short and it took time to type the answers. No phone interview. Got about 3 out of 5 correct. Prepare probability but beware the time is very short as you have to consider time to type in the answers if working on a pen and paper.
Interview questions [1]
Question 1
Probability the first eight prime numbers gives you an odd sum.
They tend to examine the logical thinkers that can communicate clearly and concisely, and some problem-solving exercises intended to explore how you gather and apply new information, very different from other tech companies' interviews.
Initial application and online assessment. Had a first round behavioral interview where they asked me about myself, my experiences, and a couple of brain teasers. The interviewer was very nice.
Phone interviews (at least 3) - questions were of mixed difficulty (some pretty hard) but the interviewers were friendly and they gave helpful hints. Kind of fun - review probability and game-type questions.